Karush–Kuhn–Tucker conditions

Karush–Kuhn–Tucker conditions
In mathematical optimization, the Karush–Kuhn–Tucker (KKT) conditions, also known as the Kuhn–Tucker conditions, are first derivative tests (sometimes called first-order necessary conditions) for a solution in nonlinear programming to be optimal, provided that some regularity conditions are satisfied.
Allowing inequality constraints, the KKT approach to nonlinear programming generalizes the method of Lagrange multipliers, which allows only equality constraints. Similar to the Lagrange approach, the constrained maximization (minimization) problem is rewritten as a Lagrange function whose optimal point is a (global) saddle point, i.e. a global maximum (minimum) over the domain of the choice variables and a global minimum (maximum) over the multipliers, which is why the Karush–Kuhn–Tucker theorem is sometimes referred to as the saddle-point theorem.
The KKT conditions were originally named after Harold W. Kuhn and Albert W. Tucker, who first published the conditions in 1951. Later scholars discovered that the necessary conditions for this problem had been stated by William Karush in his master's thesis in 1939.
Nonlinear optimization problem
Consider the following nonlinear optimization problem in standard form:
minimize
subject to
where is the optimization variable chosen from a convex subset of , is the objective or utility function, are the inequality constraint functions and are the equality constraint functions. The numbers of inequalities and equalities are denoted by and respectively. Corresponding to the constrained optimization problem one can form the Lagrangian function
where
The Karush–Kuhn–Tucker theorem then states the following.
Since the idea of this approach is to find a supporting hyperplane on the feasible set , the proof of the Karush–Kuhn–Tucker theorem makes use of the hyperplane separation theorem.
The system of equations and inequalities corresponding to the KKT conditions is usually not solved directly, except in the few special cases where a closed-form solution can be derived analytically. In general, many optimization algorithms can be interpreted as methods for numerically solving the KKT system of equations and inequalities.
Necessary conditions
Suppose that the objective function and the constraint functions and have subderivatives at a point . If is a local optimum and the optimization problem satisfies some regularity conditions (see below), then there exist constants and , called KKT multipliers, such that the following four groups of conditions hold:
Stationarity
For minimizing :
For maximizing :
Primal feasibility
Dual feasibility
Complementary slackness
The last condition is sometimes written in the equivalent form:
In the particular case , i.e., when there are no inequality constraints, the KKT conditions turn into the Lagrange conditions, and the KKT multipliers are called Lagrange multipliers.
Proof
Interpretation: KKT conditions as balancing constraint-forces in state space
The primal problem can be interpreted as moving a particle in the space of , and subjecting it to three kinds of force fields:
is a potential field that the particle is minimizing. The force generated by is .
are one-sided constraint surfaces. The particle is allowed to move inside , but whenever it touches , it is pushed inwards.
are two-sided constraint surfaces. The particle is allowed to move only on the surface .
Primal stationarity states that the "force" of is exactly balanced by a linear sum of forces and .
Dual feasibility additionally states that all the forces must be one-sided, pointing inwards into the feasible set for .
Dual slackness states that if , then the force must be zero, since the particle is not on the boundary, the one-sided constraint force cannot activate.
Matrix representation
The necessary conditions can be written with Jacobian matrices of the constraint functions. Let be defined as and let be defined as . Let and . Then the necessary conditions can be written as:
Stationarity
For maximizing :
For minimizing :
Primal feasibility
Dual feasibility
Complementary slackness
Regularity conditions (or constraint qualifications)
One can ask whether a minimizer point of the original, constrained optimization problem (assuming one exists) has to satisfy the above KKT conditions. This is similar to asking under what conditions the minimizer of a function in an unconstrained problem has to satisfy the condition . For the constrained case, the situation is more complicated, and one can state a variety of (increasingly complicated) "regularity" conditions under which a constrained minimizer also satisfies the KKT conditions. Some common examples for conditions that guarantee this are tabulated in the following, with the LICQ the most frequently used one:
The strict implications can be shown
LICQ ⇒ MFCQ ⇒ CPLD ⇒ QNCQ
and
LICQ ⇒ CRCQ ⇒ CPLD ⇒ QNCQ
In practice weaker constraint qualifications are preferred since they apply to a broader selection of problems.
Sufficient conditions
In some cases, the necessary conditions are also sufficient for optimality. In general, the necessary conditions are not sufficient for optimality and additional information is required, such as the Second Order Sufficient Conditions (SOSC). For smooth functions, SOSC involve the second derivatives, which explains its name.
The necessary conditions are sufficient for optimality if the objective function of a maximization problem is a differentiable concave function, the inequality constraints are differentiable convex functions, the equality constraints are affine functions, and Slater's condition holds. Similarly, if the objective function of a minimization problem is a differentiable convex function, the necessary conditions are also sufficient for optimality.
It was shown by Martin in 1985 that the broader class of functions in which KKT conditions guarantees global optimality are the so-called Type 1 invex functions.
Second-order sufficient conditions
For smooth, non-linear optimization problems, a second order sufficient condition is given as follows.
The solution found in the above section is a constrained local minimum if for the Lagrangian,
then,
where is a vector satisfying the following,
where only those active inequality constraints corresponding to strict complementarity (i.e. where ) are applied. The solution is a strict constrained local minimum in the case the inequality is also strict.
If , the third order Taylor expansion of the Lagrangian should be used to verify if is a local minimum. The minimization of is a good counter-example, see also Peano surface.
Economics
Often in mathematical economics the KKT approach is used in theoretical models in order to obtain qualitative results. For example, consider a firm that maximizes its sales revenue subject to a minimum profit constraint. Letting be the quantity of output produced (to be chosen), be sales revenue with a positive first derivative and with a zero value at zero output, be production costs with a positive first derivative and with a non-negative value at zero output, and be the positive minimal acceptable level of profit, then the problem is a meaningful one if the revenue function levels off so it eventually is less steep than the cost function. The problem expressed in the previously given minimization form is
Minimize
subject to
and the KKT conditions are
Since would violate the minimum profit constraint, we have and hence the third condition implies that the first condition holds with equality. Solving that equality gives
Because it was given that and are strictly positive, this inequality along with the non-negativity condition on guarantees that is positive and so the revenue-maximizing firm operates at a level of output at which marginal revenue is less than marginal cost — a result that is of interest because it contrasts with the behavior of a profit maximizing firm, which operates at a level at which they are equal.
Value function
If we reconsider the optimization problem as a maximization problem with constant inequality constraints:
The value function is defined as
so the domain of is
Given this definition, each coefficient is the rate at which the value function increases as increases. Thus if each is interpreted as a resource constraint, the coefficients tell you how much increasing a resource will increase the optimum value of our function . This interpretation is especially important in economics and is used, for instance, in utility maximization problems.
Generalizations
With an extra multiplier , which may be zero (as long as ), in front of the KKT stationarity conditions turn into
which are called the Fritz John conditions. This optimality conditions holds without constraint qualifications and it is equivalent to the optimality condition KKT or (not-MFCQ).
The KKT conditions belong to a wider class of the first-order necessary conditions (FONC), which allow for non-smooth functions using subderivatives.
See also
Farkas' lemma
Lagrange multiplier
The Big M method, for linear problems, which extends the simplex algorithm to problems that contain "greater-than" constraints.
Interior-point method a method to solve the KKT conditions.
Slack variable
References
Further reading
External links
Karush–Kuhn–Tucker conditions with derivation and examples
Examples and Tutorials on the KKT Conditions
Mathematical optimization
Mathematical economics